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Removes expiration from orders.

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Expiration is something that way may want to have in the future,
but this current is implementation is dropping orders that
aren't meant to be expired. So removing expiration, so that all
expected orders are executed.
This commit is contained in:
Eddie Hebert
2012-10-09 17:45:12 -04:00
parent a3c3a5c6f9
commit a220bc4e8f
1 changed files with 17 additions and 25 deletions
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zipline/finance/slippage.py
+17 -25
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@@ -80,36 +80,28 @@ class VolumeShareSlippage(object):
direction = 1.0
for order in orders:
if(order.dt < event.dt):
open_amount = order.amount - order.filled
# orders are only good on the day they are issued
if(open_amount != 0):
direction = open_amount / math.fabs(open_amount)
else:
direction = 1
if (order.dt.year, order.dt.day) < \
(event.dt.year, event.dt.day):
continue
desired_order = total_order + open_amount
open_amount = order.amount - order.filled
volume_share = direction * (desired_order) / event.volume
if volume_share > self.volume_limit:
volume_share = self.volume_limit
simulated_amount = int(volume_share * event.volume * direction)
simulated_impact = (volume_share) ** 2 \
* self.price_impact * direction * event.price
if(open_amount != 0):
direction = open_amount / math.fabs(open_amount)
else:
direction = 1
order.filled += (simulated_amount - total_order)
total_order = simulated_amount
desired_order = total_order + open_amount
volume_share = direction * (desired_order) / event.volume
if volume_share > self.volume_limit:
volume_share = self.volume_limit
simulated_amount = int(volume_share * event.volume * direction)
simulated_impact = (volume_share) ** 2 \
* self.price_impact * direction * event.price
order.filled += (simulated_amount - total_order)
total_order = simulated_amount
# we cap the volume share at configured % of a trade
if volume_share == self.volume_limit:
break
# we cap the volume share at configured % of a trade
if volume_share == self.volume_limit:
break
orders = [x for x in orders
if abs(x.amount - x.filled) > 0